Does Gold React as a Safe Haven and Hedge for G7 Stock Markets?

Author:

Ghorbali Bassem1,Naoui Kamel1,Derbali Abdelkader Mohamed Sghaier2ORCID

Affiliation:

1. Tunis High Institute of Business, Manouba University, Tunisia

2. Applied College, Taibah University, Saudi Arabia

Abstract

This chapter investigates the safe haven property and hedge of gold especially during GFC and COVID-19 for G7 stock markets by using DCC-GARCH and wavelet coherence analysis. The findings reveal that the dynamic conditional correlation between gold and each G7 stock market decreased significantly during extreme market conditions, especially during GFC and COVID-19. The results show that gold served as a strong safe haven asset for all G7 stock markets except Nikkei225 during GFC. However, gold has maintained this traditional role as a safe haven only for CAC40, S&PTSX, FTSE/MIB, and FTSE100 during the COVID-19 pandemic. The optimal portfolio weights of gold in each G7 stock market significantly increased during GFG and COVID-19 pandemic, meaning that investors should invest more in the gold as a ‘flight-to-safety asset' during market turmoil. The decomposition of the coherence between gold and each G7 stock market into three investment horizons demonstrates a weak correlation in both the short term and the long term for the normal and extreme conditions market.

Publisher

IGI Global

同舟云学术

1.学者识别学者识别

2.学术分析学术分析

3.人才评估人才评估

"同舟云学术"是以全球学者为主线,采集、加工和组织学术论文而形成的新型学术文献查询和分析系统,可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容,当前同舟云学术共收录了国内外主流学术期刊6万余种,收集的期刊论文及会议论文总量共计约1.5亿篇,并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询!咨询电话:010-8811{复制后删除}0370

www.globalauthorid.com

TOP

Copyright © 2019-2024 北京同舟云网络信息技术有限公司
京公网安备11010802033243号  京ICP备18003416号-3